A semi-analytical approach to Canary swaptions in HJM one-factor model
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References listed on IDEAS
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- Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, EconWPA.
More about this item
KeywordsBermudan option; swaption; bond option; HJM model; one-factor model; explicit formula; numerical integration.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-12 (All new papers)
- NEP-CFN-2003-10-12 (Corporate Finance)
- NEP-CMP-2003-10-12 (Computational Economics)
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